Tymon Słoczyński’s “Interpreting OLS Estimands When Treatment Effects are Heterogenous: Smaller Groups Get Larger Weights” was published in 2022 Review of Economics and Statistics. It’s short at 9 pages, beautifully written and full of important lessons as well as surprises. It’s one of my favorite econometrics papers published in the last year. It provides an important theorem regarding the performance of OLS under unconfoundedness and heterogenous treatment effects, and given the OLS model he examines is perhaps the most common one, the marginal benefit relative to the marginal cost of understanding the paper is very high. This substack is my attempt to boost the paper’s signal to help others better understand what OLS is, but also importantly is not, doing.
In today’s substack, I am going to discuss the algebraic properties of Tymon’s “weighted average interpretation of OLS” theorem. In a “Part 2” follow-up substack, I will conclude with a discussion of the causal implications …
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